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Tests of nonnested hypotheses in nonstationary regressions with an application to modeling industrial production

Chao, John C.; Swanson, Norman R. - In: Macroeconomic dynamics 4 (2000) 1, pp. 42-72

Persistent link: https://www.econbiz.de/10001497768

Data transformation and forecasting in models with unit roots and cointegration

Chao, John C.; Corradi, Valentina; Swanson, Norman R. - In: Annals of economics and finance 2 (2001) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10001732255

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C. B. - 1997

Persistent link: https://www.econbiz.de/10000966052

Forecasting using first-available versus fully revised economic time-series data

Swanson, Norman R. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 47-64

Persistent link: https://www.econbiz.de/10001769610

Adaptive estimation of the dynamic linear model with fixed effects

Woutersen, Tiemen (contributor); … - 2002 - [Elektronische Ressource]

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Persistent link: https://www.econbiz.de/10001714098